Outline

(1) Linear Algebra

(2) Polynomials
(3) Optimization
(4) Differentiation/Integration
(5) Differential Equations

2
 Systems of Linear Equations
MATLAB makes linear
• Given a system of linear equations
➢ x+2y-3z=5
algebra fun!
➢ -3x-y+z=-8
➢ x-y+z=0
• Construct matrices so the system is described by Ax=b
» A=[1 2 -3;-3 -1 1;1 -1 1];
» b=[5;-8;0];

• And solve with a single line of code!

» x=A\b;
➢ x is a 3x1 vector containing the values of x, y, and z

• The \ will work with square or rectangular systems.

• Gives least squares solution for rectangular systems. Solution
depends on whether the system is over or underdetermined.

3
 Worked Example: Linear Algebra

• Solve the following systems of equations:

➢ System 1: » A=[1 4;-3 1];

» b=[34;2];
» rank(A)
» x=inv(A)*b;
» x=A\b;
➢ System 2: » A=[2 -2;-1 1;3 4];
» b=[4;3;2];
» rank(A)
➢ rectangular matrix
» x=A\b;
➢ gives least squares solution

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» error=abs(A*x1-b)
 More Linear Algebra

• Given a matrix
» mat=[1 2 -3;-3 -1 1;1 -1 1];
• Calculate the rank of a matrix
» r=rank(mat);
➢ the number of linearly independent rows or columns
• Calculate the determinant
» d=det(mat);
➢ mat must be square; matrix invertible if det nonzero
• Get the matrix inverse
» E=inv(mat);
➢ if an equation is of the form A*x=b with A a square matrix,
x=A\b is (mostly) the same as x=inv(A)*b
• Get the condition number
» c=cond(mat); (or its reciprocal: c = rcond(mat);)
➢ if condition number is large, when solving A*x=b,
small errors in b can lead to large errors in x (optimal c==1)

5
 Matrix Decompositions

• MATLAB has many built-in matrix decomposition methods

• The most common ones are

» [V,D]=eig(X)
➢ Eigenvalue decomposition
» [U,S,V]=svd(X)
➢ Singular value decomposition
» [Q,R]=qr(X)
➢ QR decomposition
» [L,U]=lu(X)
➢ LU decomposition
» R=chol(X)
➢ Cholesky decomposition (R must be positive definite)

6
 Exercise: Fitting Polynomials

• Find the best second-order polynomial that fits the points:

(-1,0), (0,-1), (2,3).

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 Outline

(1) Linear Algebra

(2) Polynomials
(3) Optimization
(4) Differentiation/Integration
(5) Differential Equations

8
 Polynomials

• Many functions can be well described by a high-order

polynomial

• MATLAB represents a polynomials by a vector of coefficients

➢ if vector P describes a polynomial
ax3+bx2+cx+d

P(1) P(2) P(3) P(4)

• P=[1 0 -2] represents the polynomial x2-2

• P=[2 0 0 0] represents the polynomial 2x3

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 Polynomial Operations

• P is a vector of length N+1 describing an N-th order polynomial

• To get the roots of a polynomial
» r=roots(P)
➢ r is a vector of length N

• Can also get the polynomial from the roots

» P=poly(r)
➢ r is a vector length N

• To evaluate a polynomial at a point

» y0=polyval(P,x0)
➢ x0 is a single value; y0 is a single value

• To evaluate a polynomial at many points

» y=polyval(P,x)
➢ x is a vector; y is a vector of the same size
10
 Polynomial Fitting

• MATLAB makes it very easy to fit polynomials to data

• Given data vectors X=[-1 0 2] and Y=[0 -1 3]

» p2=polyfit(X,Y,2);
➢ finds the best (least-squares sense) second-order
polynomial that fits the points (-1,0),(0,-1), and (2,3)
➢ see help polyfit for more information
» plot(X,Y,’o’, ‘MarkerSize’, 10);
» hold on;
» x = -3:.01:3;
» plot(x,polyval(p2,x), ‘r--’);

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 Exercise: Polynomial Fitting

• Evaluate for x=-4:0.1:4.

• Add random noise to these samples. Use randn. Plot the

noisy signal with . markers

• Fit a 2nd degree polynomial to the noisy data

• Plot the fitted polynomial on the same plot, using the same
x values and a red line

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 Outline

(1) Linear Algebra

(2) Polynomials
(3) Optimization
(4) Differentiation/Integration
(5) Differential Equations

13
 Nonlinear Root Finding

• Many real-world problems require us to solve f(x)=0

• Can use fzero to calculate roots for any arbitrary function

• fzero needs a function passed to it.

• We will see this more and more as we delve into solving
equations.

• Make a separate function file

» x=fzero('myfun',1)
» x=fzero(@myfun,1)
➢ 1 specifies a
point close to where
you think the root is

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 Minimizing a Function

• fminbnd: minimizing a function over a bounded interval

» x=fminbnd('myfun',-1,2);
➢ myfun takes a scalar input and returns a scalar output
➢ myfun(x) will be the minimum of myfun for -1≤x ≤ 2

• fminsearch: unconstrained interval

» x=fminsearch('myfun',.5)
➢ finds the local minimum of myfun starting at x=0.5

• Maximize g(x) by minimizing f(x)=-g(x)

• Solutions may be local!

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 Anonymous Functions

• You do not have to make a separate function file

» x=fzero(@myfun,1)
➢ What if myfun is really simple?

• Instead, you can make an anonymous function

» x=fzero(@(x)(cos(exp(x))+x.^2-1), 1 );

input function to evaluate

» x=fminbnd(@(x) (cos(exp(x))+x.^2-1),-1,2);

• Can also store the function handle

» func=@(x) (cos(exp(x))+x.^2-1);
» func(1:10);

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 Optimization Toolbox

• If you are familiar with optimization methods, use the

optimization toolbox

• Useful for larger, more structured optimization problems

• Sample functions (see help for more info)

» linprog
➢ linear programming using interior point methods
» quadprog
➢ quadratic programming solver
» fmincon
➢ constrained nonlinear optimization

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 Exercise: Min-Finding

• Find the minimum of the function

over the range –π to π. Use fminbnd.
• Plot the function on this range to check that this is the
minimum.

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 Digression: Numerical Issues

• Many techniques in this lecture use floating point numbers

• This is an approximation!

• Examples:
» sin(pi) = ?
» sin(2 * pi) = ?
» sin(10e16 * pi) = ?
➢ Both sin and pi are approximations!

» A = (10e13)*ones(10) + rand(10)
➢ A is nearly singular, poorly conditioned (see cond(A))
» inv(A)*A = ?

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 A Word of Caution

• MATLAB knows no fear!

• Give it a function, it optimizes / differentiates / integrates

➢ That’s great! It’s so powerful!

• Numerical techniques are powerful but not magic

• Beware of overtrusting the solution!

➢ You will get an answer, but it may not be what you want

• Analytical forms may give more intuition

➢ Symbolic Math Toolbox

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 Outline

(1) Linear Algebra

(2) Polynomials
(3) Optimization
(4) Differentiation/Integration
(5) Differential Equations

21
 Numerical Differentiation

• MATLAB can 'differentiate' numerically

» x=0:0.01:2*pi;
» y=sin(x);
» dydx=diff(y)./diff(x);
➢ diff computes the first difference

• Can also operate on matrices

» mat=[1 3 5;4 8 6];
» dm=diff(mat,1,2)
➢ first difference of mat along the 2nd dimension, dm=[2 2;4 -2]
➢ The opposite of diff is the cumulative sum cumsum

• 2D gradient
» [dx,dy]=gradient(mat);

• Higher derivatives / complicated problems: Fit spline (see help)

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 Numerical Integration

• MATLAB contains common integration methods

• Adaptive Simpson's quadrature (input is a function)

» q=quad('myFun',0,10)
➢ q is the integral of the function myFun from 0 to 10
» q2=quad(@(x) sin(x).*x,0,pi)
➢ q2 is the integral of sin(x).*x from 0 to pi
• Trapezoidal rule (input is a vector)
» x=0:0.01:pi;
» z=trapz(x,sin(x))
➢ z is the integral of sin(x) from 0 to pi
» z2=trapz(x,sqrt(exp(x))./x)
➢ z2 is the integral of from 0 to pi

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 Outline

(1) Linear Algebra

(2) Polynomials
(3) Optimization
(4) Differentiation/Integration
(5) Differential Equations

24
 ODE Solvers: Method

• Given a differential equation, the solution can be found by

integration:

➢ Evaluate the derivative at a point and approximate by straight line

➢ Errors accumulate!
➢ Variable timestep can decrease the number of iterations

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 ODE Solvers: MATLAB

• MATLAB contains implementations of common ODE solvers

• Using the correct ODE solver can save you lots of time and
give more accurate results
» ode23
➢ Low-order solver. Use when integrating over small intervals
or when accuracy is less important than speed
» ode45
➢ High order (Runge-Kutta) solver. High accuracy and
reasonable speed. Most commonly used.
» ode15s
➢ Stiff ODE solver (Gear's algorithm), use when the diff eq's
have time constants that vary by orders of magnitude

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 ODE Solvers: Standard Syntax

• To use standard options and variable time step

» [t,y]=ode45('myODE',[0,10],[1;0])

ODE integrator: Initial conditions

23, 45, 15s Time range
ODE function
• Inputs:
➢ ODE function name (or anonymous function). This function
should take inputs (t,y), and returns dy/dt
➢ Time interval: 2-element vector with initial and final time
➢ Initial conditions: column vector with an initial condition for
each ODE. This is the first input to the ODE function
➢ Make sure all inputs are in the same (variable) order
• Outputs:
➢ t contains the time points
➢ y contains the corresponding values of the variables
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 ODE Function
• The ODE function must return the value of the derivative at
a given time and function value

• Example: chemical reaction 10

➢ Two equations
A B
50

➢ ODE file:
– y has [A;B]
– dydt has
[dA/dt;dB/dt]

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 ODE Function: viewing results

• To solve and plot the ODEs on the previous slide:

» [t,y]=ode45('chem',[0 0.5],[0 1]);
➢ assumes that only chemical B exists initially
» plot(t,y(:,1),'k','LineWidth',1.5);
» hold on;
» plot(t,y(:,2),'r','LineWidth',1.5);
» legend('A','B');
» xlabel('Time (s)');
» ylabel('Amount of chemical (g)');
» title('Chem reaction');

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 ODE Function: viewing results

• The code on the previous slide produces this figure

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 Higher Order Equations
• Must make into a system of first-order equations to use
ODE solvers
• Nonlinear is OK!
• Pendulum example:

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 Plotting the Output

• We can solve for the position and velocity of the pendulum:

» [t,x]=ode45('pendulum',[0 10],[0.9*pi 0]);
➢ assume pendulum is almost horizontal
» plot(t,x(:,1));
» hold on;
» plot(t,x(:,2),'r');
» legend('Position','Velocity');

Velocity (m/s)
Position in terms of
angle (rad)

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 Plotting the Output

• Or we can plot in the phase plane:

» plot(x(:,1),x(:,2));
» xlabel('Position');
» yLabel('Velocity');
• The phase plane is just a plot of one variable versus the
other:

Velocity is greatest
when theta=0

Velocity=0 when
theta is the greatest

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 ODE Solvers: Custom Options

• MATLAB's ODE solvers use a variable timestep

• Sometimes a fixed timestep is desirable
» [t,y]=ode45('chem',[0:0.001:0.5],[0 1]);
➢ Specify timestep by giving a vector of (increasing) times
➢ The function value will be returned at the specified points

• You can customize the error tolerances using odeset

» options=odeset('RelTol',1e-6,'AbsTol',1e-10);
» [t,y]=ode45('chem',[0 0.5],[0 1],options);
➢ This guarantees that the error at each step is less than
RelTol times the value at that step, and less than AbsTol
➢ Decreasing error tolerance can considerably slow the solver
➢ See doc odeset for a list of options you can customize

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 Exercise: ODE

• Use ode45 to solve for on the range t=[0 10], with

initial condition and
• Plot the result.

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 Exercise: ODE

• Use ode45 to solve for on the range t=[0 10], with

initial condition and
• Plot the result.

• Make the following function

» function dydt=odefun(t,y)
» dydt=-t*y/10;
• Integrate the ODE function and plot the result
» [t,y]=ode45(‘odefun’,[0 10],10);

• Alternatively, use an anonymous function

» [t,y]=ode45(@(t,y) –t*y/10,[0 10],10);

• Plot the result

» plot(t,y);xlabel('Time');ylabel('y(t)');
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 Exercise: ODE

• The integrated function looks like this:

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